#!/usr/bin/env python3
"""
Constrained multivariate Levenberg-Marquardt optimization
An updated version of this file can be found at
https://github.com/jjhelmus/leastsqbound-scipy
The version here has known bugs which have been
fixed above, proceed at your own risk.
- Jonathan J. Helmus (jjhelmus@gmail.com)
"""
from scipy.optimize import leastsq
import numpy as np
[docs]def internal2external_grad(xi, bounds):
"""
Calculate the internal to external gradiant
Calculates the partial of external over internal
"""
ge = np.empty_like(xi)
for i, (v, bound) in enumerate(zip(xi, bounds)):
a = bound[0] # minimum
b = bound[1] # maximum
if a == None and b == None: # No constraints
ge[i] = 1.0
elif b == None: # only min
ge[i] = v / np.sqrt(v ** 2 + 1)
elif a == None: # only max
ge[i] = -v / np.sqrt(v ** 2 + 1)
else: # both min and max
ge[i] = (b - a) * np.cos(v) / 2.
return ge
[docs]def i2e_cov_x(xi, bounds, cov_x):
grad = internal2external_grad(xi, bounds)
grad = grad = np.atleast_2d(grad)
return np.dot(grad.T, grad) * cov_x
[docs]def internal2external(xi, bounds):
""" Convert a series of internal variables to external variables"""
xe = np.empty_like(xi)
for i, (v, bound) in enumerate(zip(xi, bounds)):
a = bound[0] # minimum
b = bound[1] # maximum
if a == None and b == None: # No constraints
xe[i] = v
elif b == None: # only min
xe[i] = a - 1. + np.sqrt(v ** 2. + 1.)
elif a == None: # only max
xe[i] = b + 1. - np.sqrt(v ** 2. + 1.)
else: # both min and max
xe[i] = a + ((b - a) / 2.) * (np.sin(v) + 1.)
return xe
[docs]def external2internal(xe, bounds):
""" Convert a series of external variables to internal variables"""
xi = np.empty_like(xe)
for i, (v, bound) in enumerate(zip(xe, bounds)):
a = bound[0] # minimum
b = bound[1] # maximum
if a == None and b == None: # No constraints
xi[i] = v
elif b == None: # only min
xi[i] = np.sqrt((v - a + 1.) ** 2. - 1)
elif a == None: # only max
xi[i] = np.sqrt((b - v + 1.) ** 2. - 1)
else: # both min and max
xi[i] = np.arcsin((2. * (v - a) / (b - a)) - 1.)
return xi
[docs]def err(p, bounds, efunc, args):
pe = internal2external(p, bounds) # convert to external variables
return efunc(pe, *args)
[docs]def calc_cov_x(infodic, p):
"""
Calculate cov_x from fjac, ipvt and p as is done in leastsq
"""
fjac = infodic["fjac"]
ipvt = infodic["ipvt"]
n = len(p)
# adapted from leastsq function in scipy/optimize/minpack.py
perm = np.take(np.eye(n), ipvt - 1, 0)
r = np.triu(np.transpose(fjac)[:n, :])
R = np.dot(r, perm)
try:
cov_x = np.linalg.inv(np.dot(np.transpose(R), R))
except LinAlgError:
cov_x = None
return cov_x
[docs]def leastsqbound(func, x0, bounds, args=(), **kw):
"""
Constrained multivariant Levenberg-Marquard optimization
Minimize the sum of squares of a given function using the
Levenberg-Marquard algorithm. Contraints on parameters are inforced using
variable transformations as described in the MINUIT User's Guide by
Fred James and Matthias Winkler.
Parameters:
* func functions to call for optimization.
* x0 Starting estimate for the minimization.
* bounds (min,max) pair for each element of x, defining the bounds on
that parameter. Use None for one of min or max when there is
no bound in that direction.
* args Any extra arguments to func are places in this tuple.
Returns: (x,{cov_x,infodict,mesg},ier)
Return is described in the scipy.optimize.leastsq function. x and con_v
are corrected to take into account the parameter transformation, infodic
is not corrected.
Additional keyword arguments are passed directly to the
scipy.optimize.leastsq algorithm.
"""
# check for full output
if "full_output" in kw and kw["full_output"]:
full = True
else:
full = False
# convert x0 to internal variables
i0 = external2internal(x0, bounds)
# perfrom unconstrained optimization using internal variables
r = leastsq(err, i0, args=(bounds, func, args), **kw)
# unpack return convert to external variables and return
if full:
xi, cov_xi, infodic, mesg, ier = r
xe = internal2external(xi, bounds)
cov_xe = i2e_cov_x(xi, bounds, cov_xi)
# XXX correct infodic 'fjac','ipvt', and 'qtf'
return xe, cov_xe, infodic, mesg, ier
else:
xi, ier = r
xe = internal2external(xi, bounds)
return xe, ier